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r_alpha
2013 Apr 07
0
Fitting distributions to financial data using volatility model to estimate VaR
...h percentile."
My question is now, how do they do it?
They describe their fitting steps in the steps before, but I am not
getting the following point:
Do they fit the distribution to the original return series, calculate
the volatility (?t) and then just calculate the VaR with
VaR_t=sigma_t*q_alpha where q_alpha is the quantile of the fitted
distribution
or
do they fit the distribution to the standardized returns
(xi_t=r_t/sigma_t), calculate the volatility and then just calucate
the VaR with VaR_t=sigma_t*q_alpha where q_alpha is now the quantile
of the fitted distribution which was fitted...